I think there are two main possible problems here:
a. you may only be able to connect programmatically and
b. you may actually need to use the Access/Jet driver (which typically
works for older .dbf format files, whereas the FoxPro driver is for more
recent FoxPro formats), and since it isn't installed by default in the
version of the MDAC (data access) that comes with Win 2003 you may have to
install it.

I would try the following.

If you have Excel, see if you can open the DBF in Excel using the FoxPro
driver. If you cannot, you almost certainly need to install the Jet stuff
that used to be part of the MDAC. You can probably find the right version
for Win 2003 at

by following the "Product and Update Downloads" link at

http://msdn.microsoft.com/data/downloads/default.aspx

If you can open the DBF in Excel, it suggests that Word ought to be able to
use the FoxPro driver.  I would proceeed as follows:

Follow the instructions in this Knowledgebase article:

"Opening This Will Run the Following SQL Command" Message When You Open a
Word Document"

at

http://support.microsoft.com?kbid=825765

See if that makes any difference on its own (I doubt it, but it's worth a
try)

Then, if possible, try opening the data source in VBA code using the FoxPro
driver. An example of the syntax you need for a .dbf  with a FoxPro ODBC
User/System DSN is

ActiveDocument.MailMerge.OpenDataSource _
 Name:="", _
 Connection:="DSN=Visual FoxPro Tables;SourceType=DBF;" & _
             "SourceDB=c:\fp;Deleted=No;Exclusive=No;", _
 SQLStatement:="SELECT * FROM 'mytable'", _
 Subtype:=wdMergeSubTypeWord2000

where "Visual FoxPro Tables" is the name of the ODBC DSN, c:\fp is the
folder  containing the .dbf, and the .dbf is called mytable.dbf. You may
need backquotes ` instead of straight quotes ' around the table name.

That's my best guess, anyway.

Peter Jamieson